Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1653
Annualized Std Dev 0.3524
Annualized Sharpe (Rf=0%) 0.4691

Row

Daily Return Statistics

Close
Observations 3200.0000
NAs 1.0000
Minimum -0.2062
Quartile 1 -0.0088
Median 0.0017
Arithmetic Mean 0.0009
Geometric Mean 0.0006
Quartile 3 0.0116
Maximum 0.1665
SE Mean 0.0004
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0016
Variance 0.0005
Stdev 0.0222
Skewness -0.5329
Kurtosis 9.3588

Downside Risk

Close
Semi Deviation 0.0164
Gain Deviation 0.0149
Loss Deviation 0.0181
Downside Deviation (MAR=210%) 0.0203
Downside Deviation (Rf=0%) 0.0161
Downside Deviation (0%) 0.0161
Maximum Drawdown 0.7217
Historical VaR (95%) -0.0324
Historical ES (95%) -0.0551
Modified VaR (95%) -0.0347
Modified ES (95%) -0.0717
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2011-04-29 -0.7217 845 310 535
2020-02-21 2020-03-23 2020-08-17 -0.5714 124 22 102
2018-01-24 2018-12-24 2019-12-16 -0.3869 452 206 246
2011-07-08 2011-10-04 2012-02-09 -0.2631 145 58 87
2015-08-11 2015-08-24 2015-10-22 -0.2052 41 8 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 1.6 -0.4 1.1 1.2 1 -0.6 2 0.9 -1 0.5 -1.2 5.3
2008 2.8 -4 1.8 1.7 0.9 -0.5 1 -1.9 1.7 1.5 -11.6 2 -5.5
2009 -6.8 -1.1 3.1 -0.3 3.8 3.6 0.5 -2.9 -2.6 -4.1 3.1 -0.7 -4.9
2010 1.6 1.3 0.9 -1.8 -1.9 0.2 -0.5 3.9 0.3 -0.1 3 0.3 7.2
2011 2.5 0.4 1.4 1.1 -2.4 2.1 -1.8 -1.1 -3.3 -6.6 -0.1 -0.6 -8.4
2012 2 0.1 2.4 1.9 -5.5 3.4 -0.1 0 -0.9 1.2 0.3 -0.5 4
2013 -0.4 -0.7 -0.2 0 -3.5 2.3 1.6 1.3 -2.6 -0.3 0.2 1.6 -0.8
2014 -2.1 -0.1 0.3 2.5 0.5 0.9 0.4 1.2 -0.9 1.2 -2.4 -0.2 1.3
2015 -1.4 0.2 -3 1.4 -0.6 0.9 -0.8 -4.4 2.8 -1 0.9 -1.5 -6.4
2016 3.3 2.3 2 -0.4 1.2 2 0 0.3 1.7 -1.7 -1.6 -0.4 8.8
2017 -0.4 1.8 -0.7 -0.8 0.1 3.1 -0.8 0.5 0.2 0.1 0.1 -0.4 2.9
2018 -0.9 -3.8 2.1 -3 1 1.6 -0.5 -0.1 0.4 0.2 1.7 -0.1 -1.5
2019 -0.5 0.5 0.9 -2 -3 1 -2.1 0 -0.9 0.7 -0.4 0.4 -5.1
2020 -2.4 -4.8 -6.9 -5.1 2.5 0.2 -1.2 -1.4 2 -3.8 2.5 1.2 -16.4
2021 3.1 3.8 0.5 NA NA NA NA NA NA NA NA NA 7.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  11.9 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-05  11.9 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
3 2007-02-06  11.9 SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
4 2007-02-07  11.9 SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08  11.8 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-13  11.8 SPY    145.  8.40e-3  -0.0016   0.0099   0.0469    0.142    0.246    0.298 GLD    65.8  0.0026   0.0162
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart